Multicharts Missing Trades in Live Trading

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BigDog
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Multicharts Missing Trades in Live Trading

Postby BigDog » 22 Apr 2021

A problem I have noticed with MC is that it often misses trades in live trading. Sometimes it misses entries, other times exits. In the latter case MC will remain in a trade it should have exited (e.g. due to stop loss) and by continuing to hold the position.it misses the trades that it would have done had it exited properly.

Today was a classic example. I had long positions in NQ futures on several different charts (different strategies) when futures collapsed and blew through the stop loss levels. MC did nothing. It continued to hold the positions and then exited at market close for some reason (there is no SetExitOnClose in these strategies). I became suspicious and recalculated all the strategies and found that MC had failed to exit all of them properly.

I have noticed similar behavior for other strategies in MC over many years. But it’s become so bad I’m going to have to find a proper fix, or another trading platform.

Have other MC users experienced similar issues with MC in live trading?

Oh let me just deal with a couple of straw-man explanations:

1) this has nothing to do with “bad ticks” or back fills. I watched the charts live in MC. They showed the bars updating in real time. Even if MC did miss a couple of ticks, the prices shown in real time on the MC charts were well below stop loss levels for at least 40 minutes.
2) this has nothing to do with not getting filled on limit orders at the high or low of a bar. These are stop orders, not limit orders. They should be filled at some price whenever the contract trades through the stop price.

masterchanger
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Re: Multicharts Missing Trades in Live Trading

Postby masterchanger » 22 Apr 2021

Hi,
What version of MC are you using and what datafeed?

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TJ
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Re: Multicharts Missing Trades in Live Trading

Postby TJ » 22 Apr 2021

GIGO

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TJ
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Re: Multicharts Missing Trades in Live Trading

Postby TJ » 22 Apr 2021

Do you have an audit trail?

Do you know how to make one?

BigDog
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Re: Multicharts Missing Trades in Live Trading

Postby BigDog » 22 Apr 2021

I am using MC 12 on a Win 2012 Server with 96 Gb of RAM (I found MC 14 too unstable).

Data feed is from TS, where I run the same charts - another way I can tell that MC is missing trades.

I don’t know how to create an audit trail, but I will find out.

In general, this is such a frequently occurring issue that I assumed it was a “feature” of MC that everyone knew about and would corroborate. The fact that, so far, no-one has replied saying that they experience similar problems suggests that it could be my setup. It could be the result of using the TS data feed - but lots of MC users do that, so if it caused this kind of issue there would presumably be lots of reports in the forum. So I am beginning to suspect an issue with MC running on Wn 2012 server....

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Re: Multicharts Missing Trades in Live Trading

Postby Salzburg » 23 Apr 2021

BigDog, myself i am running servers with Winw2012 server similar ram, 16 open 30 min charts, IQ , IB, i have never had any "missed" trades like you are describing (sounds like you are holding stops localy and not as bracket at broker, in this case whats the reason?). I have though had other "strange" things happend to me, but very rarely, the very very few times over past 2 years running 24/7 with mc12 that has caused concern for me is custom built futures (this seems to use lots of resources and caused moments of "freeze up", so i never use custom futures again, also portfolio trader running intraday systems, this have caused some strange behaviour for me in live trading.. hence i only use portfolio trader for daily systems, and i never use custom futures, i also flush my data cash every day, and restart IQ application every day, and restart server every sunday..
BY doing this, MC12 in this setup is for me super rock solid, solid executions and no crashes etc, it just works as it should with the usual trader human error, like missing roll over day etc :).

However MC14 is another story.

BigDog
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Re: Multicharts Missing Trades in Live Trading

Postby BigDog » 23 Apr 2021

Agree about MC 14. I find MC 12 much less unreliable, in general.

I'm thinking that some of problems might relate to how stop orders are processed. I have always used the default option to use native stop orders. But I have noticed that from time to time that stop orders are sent by MC to IB TWS, but not transmitted to the IB server. So I am going to try emulation for stop orders, to see if that works better (any further advice appreciated).

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TJ
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Re: Multicharts Missing Trades in Live Trading

Postby TJ » 23 Apr 2021

There are a few possibilities for "missing" trades:

1. Coding error: You code was never triggered. (or triggered at the wrong place)
2. The trade was triggered, but was not sent.
3. The trade was triggered and sent, but never received by your broker.
4. The trade was triggered, sent, and received by your broker. But was executed wrong by your broker.

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Re: Multicharts Missing Trades in Live Trading

Postby Salzburg » 23 Apr 2021

Agree about MC 14. I find MC 12 much less unreliable, in general.

I'm thinking that some of problems might relate to how stop orders are processed. I have always used the default option to use native stop orders. But I have noticed that from time to time that stop orders are sent by MC to IB TWS, but not transmitted to the IB server. So I am going to try emulation for stop orders, to see if that works better (any further advice appreciated).
Perhaps you mean the other way around ? MC12 reliable and MC14 Less so, that was at least what i meant.

Regarding stop orders, "I have noticed that from time to time that stop orders are sent by MC to IB TWS,"
This sounds really strange and not a MC problem but rather on IB?
Emulation i would not do, unless you really need to "hide" your size for some reason.

I think its better to find the culprit/issue with native stops, instead of giving up and using emulated that for some strange reason can potentially solve your problem, nothing here make any sense to me at least, so if i would be you i would be stubborn and locate the issue for sure.. instead of going around it..

Good luck

BigDog
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Re: Multicharts Missing Trades in Live Trading

Postby BigDog » 23 Apr 2021

There are a few possibilities for "missing" trades:

1. Coding error: You code was never triggered. (or triggered at the wrong place)
2. The trade was triggered, but was not sent.
3. The trade was triggered and sent, but never received by your broker.
4. The trade was triggered, sent, and received by your broker. But was executed wrong by your broker.
1. No. When the strategies are recalculated they show the correct trades. And the same code trades correctly in TS.
4. No. Order logs on IB show no record of the orders having been transmitted.

So its 2 or 3.

I am favoring 3. As I said, I have seen (many) instances of stop orders having been sent to IB TWS, but held for transmission to IB.

There is a field in the IB TWS API that controls whether orders are simply sent to TWS and held pending manual transmission, or immediately transmitted to IB. Of course, the latter is what we want. But you have to set the field correctly.

My guess is that MC is not setting the transmit field for some types of stop order.

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Re: Multicharts Missing Trades in Live Trading

Postby tpredictor » 24 Apr 2021

I don't use IB but I remember I had a lot of problems with IB and MC in distance past. Is it possible for you to try another broker like CQG/AMP and see if the problem still persists? I do remember there was a setting in Booktrader where I had to enable exchange stops for futures. This is not typical process. I wonder if it is possible that it is something happening on IB configuration side. I would check the position logs?

Some theoretical possibilities off top my head:

* Order was rejected originally because of out bands
* Order was rejected due to fast markets (is it possible?)
* Order was held at IB -- as they used to hold emulated orders-- and not sent to exchange and then rejected
* Order was converted into a stop limit vs stop market and executed later

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Re: Multicharts Missing Trades in Live Trading

Postby tpredictor » 29 Apr 2021

I have a lot of issues with TS currently on multi-core CPU (why I bought MC). Have you tried CQG or Rithmic broker/feed? If it's just for real-time they may work okay and might be cheaper then IQ if you have a broker they support.

wilkinsw
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Re: Multicharts Missing Trades in Live Trading

Postby wilkinsw » 30 Apr 2021

My setup is CQG + IQfeed. No significant issues. IQfeed has been less reliable of late (a few outages in the last few months).

I've certainly never experienced anything close to the unreliability you're describing.

At the risk of sounding patronising: It sounds like you need to slow down and piece together what your are doing step by step. Test each step to destruction. You will learn loads and it will make future trading far more enjoyable.

Also, I'd say that there are many skilled MC users on this forum who enjoy seeing a problem experienced by another user and solving it in the pursuit of furthering their own knowledge. However, please please please take the time to put your case forward with as much detail as possible, otherwise it's just a moan and nothing more than forum clutter.

Post some code (I recommend simplifying existing code to show core functionality) and screen shots of auto trading settings and OPT logs and you may quickly find the solutions you're after.

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Re: Multicharts Missing Trades in Live Trading

Postby tpredictor » 30 Apr 2021

@bigdog Have you tried running without TS? TS has a lot of problems. I would try to run on a different datafeed without TS open before making a determination. Because, I'm seeing some slow behavior too and think its due to TS but not 100% sure.

BigDog
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Re: Multicharts Missing Trades in Live Trading

Postby BigDog » 30 Apr 2021

@bigdog Have you tried running without TS? TS has a lot of problems. I would try to run on a different datafeed without TS open before making a determination. Because, I'm seeing some slow behavior too and think its due to TS but not 100% sure.
Currently I dont have another datafeed, which is why I was asking about other users' experience with DTN-IQ.

Agreed that TS is experiencing more problems, especially overnight (which doesnt affect me as I am trading in the day session). But in any case the strategies run perfectly well on TS. They used to do ok in MC too, although MC has always been prone to "falling asleep" and getting out of synch with the strategies running on TS.

But I have a feeling that after (a) upgrading to MC14 and then (b) downgrading to MC 12 again, it seems to have made a tolerable situation much, much worse. The strategy edge is being completely evicerated by MC missing trades, or not getting out of trades when it should. My sense is that the MC installation is now somehow compromised.

I will try it again with a new, clean install of MC 12. But I suspect that the MC-TS datafeed link is the root cause: its always been an issue, I believe. Not sure that DTN-IQ will cure the problem, although other users seem to think it works well.

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Re: Multicharts Missing Trades in Live Trading

Postby wilkinsw » 30 Apr 2021

I recommend that you talk to MC support re changing editions as there are issues going back from 14 to 12. It requires them do make a change to the registry. They aren't happy to share the regedit for some reason.

Doing a clean install won't get around this.... only changing machine.

For some reason you are having a bad time and I look forward to hearing your solution. On the whole I have few issues with MC and have been a heavy user for a long time now. This isn't a mass market product and yet they've built something which is data/broker agnostic at a very retail price. It's not bulletproof, but the MC team are willing to help and take feedback on board. But it has to be constructive. If I were paying Deltix prices for MC then, yes, I would be more prone to posting obtuse rants.

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Re: Multicharts Missing Trades in Live Trading

Postby Salzburg » 03 May 2021

BigDog, I am using Dtn IQ datafeed and MC12, Rock solid setup and running over 15-20 minute charts with unique strategies, no issues whatsoever with a designated trading server at datacenter, running 24/7, server is restarted every weekend and flushing data manually every evening (just a habit).

If you think TS data could be the issue, or pc, why not just replace your data with IQ and replace pc/server, to rule out things... ?

I assume its more costly to run a live strategy with issues than ruling out pc and datafeed costs..

Good luck

BigDog
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Re: Multicharts Missing Trades in Live Trading

Postby BigDog » 03 May 2021

This is the response I got from MC support:

"MultiCharts 12 is considered obsolete, so it is not supported in case of serious technical issues. I understand your frustration, we will be able to help you with the issues in MultiCharts 14,not MultiCharts 12.
MultiCharts 14 included many fixes and improvements, that is why you might have experienced more issue after the downgrade."

Wow.

wilkinsw
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Re: Multicharts Missing Trades in Live Trading

Postby wilkinsw » 17 May 2021

BigDog.... Have you downgraded to MC12 yet?

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Svetlana MultiCharts
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Re: Multicharts Missing Trades in Live Trading

Postby Svetlana MultiCharts » 12 Aug 2021

Dear Users,

If you have issues similar to this thread, please send us the constructive feedback from the main MultiCharts window -> Help -> Feedback. If the question is related to live trading, please specify the Broker Order ID of the order (Order and Position Tracker -> Orders tab -> Broker order ID column) in the description.

To investigate and work on resolving the issues that our customer is experiencing, we need to know the details, check screenshots and the logs, and ask questions specifically for this person and the setup used. The Discussion Forum is not our primary support channel, we provide urgent support by email, Live Chat and phone. You can always contact us via these channels to receive urgent support.

Let me point out a couple of general recommendations related to this topic:
  • The broker executes orders according to real-time Ask and Bid prices. One may get confused if the chart is built with Quote Field set to Trade, and/or the data feed differs from the broker. In this setup the data series on a chart may differ from the Ask/Bid data stream on the broker. So, if you see that the price on the chart reached your order, but it is not filled, check if the broker’s Ask/Bid prices meet the conditions for order execution. One can view the broker’s Ask/Bid prices in the Trade Bar or Chart Trading Panel.
  • Native price orders are sent to the broker as soon as they are generated, and they are managed by the broker. MultiCharts does not fill such orders. You need to consult with the broker if the order is not filled as you expected.
In order to get a more detailed reply for your specific case please provide the issue details or send us the feedback as described above.

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Mark Brown
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Re: Multicharts Missing Trades in Live Trading

Postby Mark Brown » 03 Nov 2022

also auto trading driving me crazy -

the system will buy/sell on the close UNTIL you enable real money auto trading, then it will enter the next bar at the previous close price.

i honestly don't think mc can autotrade at all, please post sample code to prove me wrong. years this has been an issue.

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Svetlana MultiCharts
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Re: Multicharts Missing Trades in Live Trading

Postby Svetlana MultiCharts » 04 Nov 2022

Hi Mark,

On our end auto trading works as expected. If you would like us to investigate your case, please send the constructive feedback as described above.

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syswizard
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Re: Multicharts Missing Trades in Live Trading

Postby syswizard » 05 Nov 2022

also auto trading driving me crazy -

the system will buy/sell on the close UNTIL you enable real money auto trading, then it will enter the next bar at the previous close price.

i honestly don't think mc can autotrade at all, please post sample code to prove me wrong. years this has been an issue.
Mark - for intraday trading, this should not be a big deal.

Just make your code similar to this:
If vGoLong Then Buy("Buy-Sig") vNumContracts Contracts Next Bar At Close Limit;

The assumption of course is that the open of the next bar = close of current bar.

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Re: Multicharts Missing Trades in Live Trading

Postby kantkant » 23 Jan 2023

Hi guys and Big Dog,
I have the exact same problem on Multicharts, probably it happens from the beginning, but now it's unsustainable...
I also have MC 12 but I tried with 2 different datafeed, on both this problem happens...
I asked with dozen of traders and it seems I am the only one (and you big dog) with this issue!
So, did you solve it in some way??? I really appreciate some feedback!
Thanks


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